Schumpeter's waves applied to Quant Funds
Brief Systematic Funds Market Analysis
Overcrowded effect:
Because Quant Hedge Funds have similar trades, during a market turmoil when Investors deleverage, unwinding their position exacerbates the market sell off with volatility spikes and huge drawdown.
Since our Investment Process is different, our returns are uncorrelated to most of Quant strategies.
We provide real diversification by construction.
excerpts from: http://www.quantnet.com/steve-shreve-on-pablo-triana
"A lesson that can be learned from the 2008 crisis is that if everyone implements the same good idea, their collective action can invalidate the assumptions that made the idea good. "
"A feature of the most recent bubble is that quantitative analysis contributed to a false sense of security that encouraged firms to scale up risks. In some cases senior managers and even quants themselves did not appreciate the limitations in the models on which they based their risk analysis."
Grey Swan Risk Advisors Strategy: an Innovative methodology beyond common quant strategies
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Disclaimer
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
This website contains information about Grey Swan Risk Advisors Ltd (“Greyswanrisk”), its employees, and the historical performance of trades related to the Greyswanrisk Technology Strategy. This information is provided solely to illustrate the expertise of the individuals involved and should not be interpreted as a guarantee of future performance.
Any target return figures are indicative only, based on long-term projections and prevailing market conditions at the time of modelling. These are subject to change and should not be relied upon for investment decisions.
Case studies and historical examples are for illustrative purposes only. They do not represent actual or expected performance and should not be assumed to be profitable or loss-free. Market conditions change and similar opportunities may not be available in the future.
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